O'Reilly logo

Managing Hedge Fund Risk and Financing: Adapting to a New Era by DAVID P. BELMONT, CFA

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Return Profiles

Hedge fund return profiles show non-Gaussian1 characteristics. As shown in earlier chapters, an analysis of hedge fund-style specific-return indices showed that fund strategies have exhibited non-zero monthly returns and varying degrees of kurtosis, all greater than zero (see Table A.1). A financial model that is able to fit this observed fat-tailed behavior is required.

Table A.1 Monthly Hedge Fund Index Returns Ranked By Kurtosis.

Sources: Greenwich Alternative Investments, EurekaHedge, J.P. Morgan, Dr. Robert Shiller (Yale University)

img

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required